A study of Black-Litterman model based on a multi-index information ranking method

DOI10.3969/J.ISSN.1005-3085.2015.04.005zbMATH Open1340.91109MaRDI QIDQ3461114FDOQ3461114

Authors: Zheng Fang, Xijun Zheng, Ying Ge 

Publication date: 15 January 2016

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zbMATH Keywords

stochastic optimizationTOPSISBlack-Litterman modelmultiple indexes ranking

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cited In (11)

• Black-Litterman model with multiple experts' linguistic views
• Inverse optimization: a new perspective on the Black-Litterman model
• Research on asset portfolio based on ARMA-GARCH-t and Black-Litterman model
• The Black-Litterman Model for Portfolio Optimization on Vietnam Stock Market
• The analysis of the Black-Litterman portfolio model by VEC and confidence level
• Optimal method for investing on assets using Black-Litterman model
• Portfolio based on Black-Litterman model with entropy compensation
• A more human-like portfolio optimization approach
• Title not available (Why is that?)
• A heteroskedastic Black-Litterman portfolio optimization model with views derived from a predictive regression
• The augmented Black-Litterman model: a ranking-free approach to factor-based portfolio construction and beyond

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